FastEddie is spot on.
People don't seem to realize that building a new PC is a several day process. My setup went like this:
Day 1:
Assemble PC, and do first boot to BIOS. Enter BIOS, and let system remain there while checking to make sure all LEDs are functional, no warning LEDs on the motherboard, ensure that all fans are spinning and that Hard Disk spindle is spinning. Verify in BIOS that all voltages are within spec, and all temperatures are in acceptable ranges.
Insert WinXP install disk, and test reset button. Reset button works. Boot from CD, and install windows XP. Install drivers for system devices, and call it a night.
Day 2:
First cold boot. Observe post for errors. Boot into windows. Spend the next 3-4 hours configuring windows to taste, installing security updates, and installing essential burn-in and stability testing software.
Lunch.
Reboot, enter and configure BIOS. Boot to windows.
Begin stability testing. Run ASUS Probe and Prime95 together to test/burn-in CPU while keeping an eye on voltages and temperatures. After a good 3 hours with no errors, CPU can be called stable at stock.
Run Memtest to at least 1000% coverage (10 complete cycles of testing). If no errors, memory is stable at stock.
Loop 3dmark03 for a good 2-3 hours. If no issues, GPU is stable at stock. Start up a second Prime 95 run and call it a night, letting Prime run til dawn.
Day 3:
Install/configure/patch commonly used programs and games. Post installations, run a disk cleanup, spyware scan, registry cleanup, and defragment all drives involved. Reboot.
[[Digression: By now, the system should be good and burned in, and you'll know for sure if you have any stability issues, or other problems. To be extra sure, over the next two nights I run a 3dmark03 loop, and a MemTest in order to double check GPU/memory for long uptimes. Things go fine, all is well. ]]
At this point, you'll want to double check all your voltages and temps. If possible, do it across a variety of programs to checkl for consistency. I use a menagerie composed of SANDRA, Everest, CPU-Z, nTune, System BIOS, and ASUS Probe.
If all has been/is well, begin normal system use.
That was my 3 day setup and check. Then you go into Overclocking, which is really like a second setup all in itself as you change settings and re-test for stability.
The bottom line about system builds is this: You can't rush it. We all love getting new toys, but do it right, and you'll have far fewer headaches, and far greater enjoyment.